According to the rules, if you engage your cav. in a column, the opponent will fire first, with the shock bonus (CV 3), and we found it quite illogical.. I mean, the main advantage of cav. is their charge, but with the rules, it´s far better to wait for the enemy to engage you than actually attacking them!

CAVALRY: units must be Engaged to fire and generally have F2. Cavalry units get F3 on the first firing turn after they engage or they are engaged, to reflect shock.

To me, that means you get F3 after engaging and also if you are engaged. My guess is that this rule reflects the fact that defending cavalry would counter-charge if another unit was charging them; they would not wait patiently to be hit.

The only time cavalry does not get this bonus is when engaging infantry in square: "Engaging cavalry are reduced to F1, and get no shock bonus."